GARCH models that use range data

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|

GARCH models that use range data

Rmetrics mailing list
Packages such as rugarch fit GARCH models to returns. Usually one fits the model to close-to-close (CC) returns. Is there an R package or R code that uses OHLC data to predict CC return volatility within a GARCH framework? The basic GARCH(1,1) model

s(t+1)^2 = w + a*r(t)^2 + b*s(t)^2

where s(t) is the conditional standard deviation and r(t) is the return could be augmented by a term depending on the high-low range hl(t) = log(high(t)/low(t)) to give

s(t+1)^2 = w + a*r(t)^2 + b*s(t)^2 + c*hl(t)^2

Vivek Rao

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.